st: Heckman two-step estimator

st: Heckman two-step estimator

How would one go about estimating Heckman two-step estimator if both
the stages involve ordinal outcomes. Say the first stage has 5 levels
and the second stage has 3 levels. How would one calculate
inverse-mills ratio in the first step and incorporate them in the
second step. I would highly appreciate your help.

How would one go about estimating Heckman two-step estimator if both
the stages involve ordinal outcomes. Say the first stage has 5 levels
and the second stage has 3 levels. How would one calculate
inverse-mills ratio in the first step and incorporate them in the
second step. I would highly appreciate your help.

Re: st: RE: Heckman two-step estimator

Thank you Martin. I ran a bivariate seeming unrelated ordered probit
just to understand the command. It says ghk2setup() not found.
However, ghk2 is already installed and the software is up-to-date. I
am using stata11. I also ran an example given in the help. It says the
same. Searched web to learn more about ghk2setup() but no clue as to
what is happening.

Thank you Martin. I ran a bivariate seeming unrelated ordered probit
just to understand the command. It says ghk2setup() not found.
However, ghk2 is already installed and the software is up-to-date. I
am using stata11. I also ran an example given in the help. It says the
same. Searched web to learn more about ghk2setup() but no clue as to
what is happening.

RE: Heckman two-step estimator

--- On Wed, 1/9/10, Siri wrote:
> I am also having problems with cmp. The message I receive
> when it is suppose to fit the full model is:
>
> <istmt>: 3499 cmp_lnL() not found

-cmp- uses Mata functions, and the error you got means that
Stata could not find that particular Mata function. Stata does
not automatically find new Mata functions when you just
installed an new package. The easiest solution is to close down
Stata, start it again, and try to use -cmp- again.

--- On Wed, 1/9/10, Siri wrote: > I am also having problems with cmp. The message I receive > when it is suppose to fit the full model is: > > <istmt>: 3499 cmp_lnL() not found

-cmp- uses Mata functions, and the error you got means that Stata could not find that particular Mata function. Stata does not automatically find new Mata functions when you just installed an new package. The easiest solution is to close down Stata, start it again, and try to use -cmp- again.

Testing for overidentifying restrictions iv-oprobit

I am using cmp to estimate an ordered probit with an endogenous variable. cmp does this for me in a very simple manner, but I havent found a way to test for overidentifying restrictions. Do you know if there is any way to do this? My command is of the following type: